Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0156
Annualized Std Dev 0.2631
Annualized Sharpe (Rf=0%) -0.0595

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2295
Quartile 1 -0.0072
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0078
Maximum 0.2420
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0166
Skewness -0.4925
Kurtosis 24.3758

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0117
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.8624
Historical VaR (95%) -0.0236
Historical ES (95%) -0.0396
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0213
From Trough To Depth Length To Trough Recovery
2008-05-21 2020-03-18 NA -0.8624 3231 2977 NA
2001-05-23 2002-10-09 2005-08-10 -0.4399 1059 345 714
2007-10-19 2008-01-23 2008-05-16 -0.2182 145 65 80
1999-09-10 1999-12-22 2000-05-10 -0.1709 169 73 96
2000-10-13 2000-12-06 2001-02-06 -0.1600 79 38 41

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.2 0 1.1 -1.2 -1.5 0.4 1.8 1.6 1.1 0.4 -0.6 0.8 4.1
2000 0.2 0.6 1.6 0.7 -0.2 0 0.2 0.8 1.2 1.1 -0.2 -0.7 5.4
2001 0.4 -0.3 0.4 0 0 1.3 -0.9 0 0.2 0.4 1.4 1.3 4.2
2002 0.7 0.7 1 -1 0.2 -0.1 -2 -0.2 0.8 0.1 0.2 -1 -0.9
2003 1.1 0.5 0.3 0.3 0.7 -1.4 -0.9 0.4 0.7 0.4 0.6 0 2.8
2004 -0.1 2.4 -0.8 -0.6 3.5 0.6 1.2 0.9 0.5 -1 -1.6 0.3 5.2
2005 1.7 0.6 2.3 -1.5 2.8 1.2 1.7 3.8 -0.2 0.1 1.7 -1.1 13.7
2006 -1 1.3 -0.3 0.9 0.6 0.3 0 0.8 0.3 -0.6 -0.1 -0.4 1.9
2007 0.6 -0.1 -0.9 0.2 0.5 1 -0.9 1.3 1.6 -1.8 0.4 -0.8 1.1
2008 1.8 -2.8 1.2 -1.3 0.5 0.4 -0.9 -0.9 -1.5 2.2 -8.8 1.9 -8.3
2009 -1.7 -1.8 1.7 2.8 4.9 0.8 1.2 -1.2 -2.7 -3.4 1.5 -0.5 1.4
2010 2.7 1 1.5 -1.5 -4.4 -0.3 -0.1 3.7 1.3 0.2 2.3 0.5 6.7
2011 1.9 -1.1 0.5 1.1 -1.8 0.5 0 -0.8 -2.5 -2.8 -0.2 0.7 -4.6
2012 0.7 1.3 0.9 1.2 -2.1 2.7 -0.3 0.4 0.4 0.5 -0.2 1.7 7.2
2013 0.5 -0.2 -0.3 -1.3 -1.6 0.5 1.2 -0.6 0.4 -0.7 -0.2 0.1 -2.2
2014 -0.8 0.8 0.3 -0.3 0 0.3 -1.2 0.4 -2 1.9 0.5 -0.1 -0.4
2015 -0.6 -0.8 0 0 -0.1 -0.7 -1.6 -2.7 2.9 1.7 0.7 1.4 0.2
2016 -1 2.9 -0.7 -0.6 0 -0.1 -3.1 0.5 1 -0.2 0.2 -0.3 -1.3
2017 -0.3 1.8 -0.1 0 0.4 0.3 -0.2 0.9 0.1 1.4 0 0.2 4.6
2018 0.2 -1 1.7 -1 0.5 0.8 -1.2 -0.2 1.2 1.3 -0.1 0.6 2.7
2019 1.2 1.5 0.9 -2.1 -1.4 0.2 -1.8 0.3 -2 2.1 -1 0.6 -1.4
2020 -2.9 -4.2 -1.4 -4.1 2.5 -1.2 -1.4 -0.2 -1.6 0.4 0.7 -0.7 -13.5
2021 1.4 2.9 -0.2 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  20.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  20.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  20.7 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  20.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  20.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  20.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart